Microsoft PowerPoint - PoF.ppt

ƒ 245

Gamma: change of the delta given a change in the underlying price. Note: If gamma is small, delta changes only very slowly.

ƒ

Black-Scholes gamma of a call with

E = 100, T = 1y, r = 10% p.a. and

σ

= 20% p.a..

(

)

2

2

2

2

:

&

1

:

S

p

S

Put

T

S

σ

d

N'

S

c

S

Call

∂ ∂

=

∂

∆

∂

=

Γ

=

∂ ∂

=

∂

∆

∂

=

Γ

Derivative securities: Options - Black-Scholes modelGreeks